Contact info:
- Office: RLM 13.142
- Phone: (512) 232-6186
- Email: mcudina@math.utexas.edu or mcudina_teaching@math.utexas.edu (the latter one is for students)
Teaching:
- Theory of Interest (ACF329=M389F)
- First-Day Handout
- HW One - Solutions
- Sections 1.2-4 and 1.7-8
- Sections 1.5-6 and 1.9
- Sections 1.10-12
- Section 1.14
- Sections 2.2-3
- Sections 2.4-5
- Section 2.6
- Section 2.7
- Sections 3.2-3
- Section 3.5
- Section 3.4
- Section 3.6
- Sections 3.8-9
- Sections 3.9-10
- Section 3.12
- Section 3.13
- Section 4.2
- Section 4.3
- Section 4.5 - Part I
- Section 4.5 - Part II
- Section 4.6 - Part I
- Section 4.6 - Part II
- Sections 5.2 and 5.3
- Section 6.2
- Sections 6.3 and 6.4
- Section 6.5
- Section 6.6
- Section 6.9
- Section 9.2
- Probability (M362K)
- Financial Mathematics for Actuarial
Applications (M339W/M389W)
- First-Day Handout
- Options review
- Forward contracts
- Put-call parity
- Generalized parity
- Properties of option prices
- One period binomial option pricing
- Two or more periods binomial option pricing
- Binomial put option pricing
- Binomial American option pricing
- More on risk-neutral pricing
- Probability on coin-toss space
- Scaled random walks
- Binomial tree. Lognormality.
- Homework 1: Solutions
- Sections 20.1-3
- Sections 20.4-5
- Sections 13.1-2 and 24.1
- Section 24.2
- Section 24.3
- Sections 24.4-5
- Sections 13.3-6
- Sections 14.1-2 (no need to look at perpetual American options)
- Sections 14.3-5
Publications:
- " Asymptotically Optimal Control for Some Time-varying Stochastic Networks " (2006), PhD Thesis, Carnegie Mellon University